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Journal Articles SSRN Electronic Journal Year : 2020

The Unprecedented Equity and Commodity Markets Reaction to COVID-19

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Amine Ben Amar
Fateh Belaid
Adel Ben Youssef
Benjamin Chiao
Khaled Guesmi

Abstract

Using a drifting spillover index approach (Diebold and Yilmaz, 2012) and a continuous time-frequency tool (Torrence and Webster, 1999), this paper attempts to empirically investigate the spillovers and co-movements among commodity and stock prices of major oil-producing and consuming countries. While our results point to the existence of a significant interdependence among the considered markets, the Chinese and Saudi Arabian stock markets seem to be weakly integrated into the world market. Moreover, the spillover is time-varying and reaches its highest level during the COVID-19 medical shock.
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hal-03131564 , version 1 (04-02-2021)

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Amine Ben Amar, Fateh Belaid, Adel Ben Youssef, Benjamin Chiao, Khaled Guesmi. The Unprecedented Equity and Commodity Markets Reaction to COVID-19. SSRN Electronic Journal, 2020, 38, pp.101853. ⟨10.2139/ssrn.3606051⟩. ⟨hal-03131564⟩
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